Related papers: Discrete time risk sensitive control problem
Task and Motion Planning has made great progress in solving hard sequential manipulation problems. However, a gap between such planning formulations and control methods for reactive execution remains. In this paper we propose a model…
This article solves an optimal control problem arising in attitude control of a spacecraft under state and control constraints. We first derive the discrete-time attitude dynamics by employing discrete mechanics. The orientation transfer,…
We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily…
In this paper, adaptive set-point regulation controllers for discrete-time nonlinear systems are constructed. The system to be controlled is assumed to have a parametric uncertainty, and an excitation signal is used in order to obtain the…
Reinforcement Learning Algorithms are predominantly developed for stationary environments, and the limited literature that considers nonstationary environments often involves specific assumptions about changes that can occur in transition…
We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…
In this paper we consider impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of…
In this work, we propose a feedback control based temporal discretization for linear quadratic optimal control problems (LQ problems) governed by controlled mean-field stochastic differential equations. We firstly decompose the original…
For time-inconsistent stochastic controls in discrete time and finite horizon, an open problem in Bj\"ork and Murgoci (Finance Stoch, 2014) is the existence of an equilibrium control. A nonrandomized Borel measurable Markov equilibrium…
We introduce the Lyapunov approach to optimal control problems of average risk-sensitive Markov control processes with general risk maps. Motivated by applications in particular to behavioral economics, we consider possibly non-convex risk…
This paper addresses, for the first time in the literature, optimal control problems for dynamic systems governed by a novel class of sweeping processes with time delay. We establish well-posedness of such processes, in the sense of the…
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffusion process on a finite time interval. For broad classes of…
In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller--Markov process with an unbounded terminal cost function. We show that in the unbounded case an associated Bellman equation may have…
This paper addresses the trajectory-tracking problem for discrete-time linear time-invariant systems with bounded parametric uncertainty, subject to hard constraints on system states, control inputs, and input rates. Unlike existing…
This tutorial shows an overview of Model Predictive Control with a linear discrete-time system and constrained states and inputs. The focus is on the implementation of the method under consideration of stability and recursive feasibility.…
The solution to the infinite horizon optimal control problem for linear distributed time-delay systems is presented. The proposal is based on the use of the Cauchy solution for distributed time-delay systems. In contrast with previous…
We consider a change-point detection problem for a simple class of Piecewise Deterministic Markov Processes (PDMPs). A continuous-time PDMP is observed in discrete time and through noise, and the aim is to propose a numerical method to…
In this paper, we show that for discrete time-varying linear control systems uniform complete controllability implies arbitrary assignability of dichotomy spectrum of closed-loop systems. This result significantly strengthens the result in…
The objective of this paper is to study the controllability of discrete-time linear control systems in solvable Lie groups. In the special case of nilpotent Lie groups, a necessary and sufficient condition for controllability is…
This article develops variational integrators for a class of underactuated mechanical systems using the theory of discrete mechanics. Further, a discrete optimal control problem is formulated for the considered class of systems and…